It looks like Grub or Lilo managed to make the three Partitions so perhaps teh installation failed for a small mark on the CD. If you were using the double sided Ubuntu CD, you may have been trying to put the 64 bit version into a 32 bit syste.
All that said, you can use XPs Disk Management to delete those Partitions and that will make one large one. XP will still only have the same amount of space on its Partition so you might need to move My Documents and pagefile.sys on to the new one.
It's better to persist with Ubuntu then buy a larger disk and clone the whole lot on to the new drive.